Alternative Data: Sentiment from Social Media

Key Takeaways

In our previous note on alternative data, we used Reddit to identify stocks that saw an uptick in their mentions coupled with unusual trading activity.In this note, we create a social media-based sentiment indicator by focusing on the sentiment implied in individual Reddit comments.For index-level products, like SPY, our sentiment measure is an effective short-term contra-indicator. When sentiment gets extremely negative, the market tends to perform best, and when social media ...

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